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Options on Cryptocurrency Market
Nikolina Romić (2018)
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group
Cite this document

Romić, N. (2018). Opcije na tržištima kriptovaluta (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:705560

Romić, Nikolina. "Opcije na tržištima kriptovaluta." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2018. https://urn.nsk.hr/urn:nbn:hr:126:705560

Romić, Nikolina. "Opcije na tržištima kriptovaluta." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2018. https://urn.nsk.hr/urn:nbn:hr:126:705560

Romić, N. (2018). 'Opcije na tržištima kriptovaluta', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 22 January 2020, https://urn.nsk.hr/urn:nbn:hr:126:705560

Romić N. Opcije na tržištima kriptovaluta [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2018 [cited 2020 January 22] Available at: https://urn.nsk.hr/urn:nbn:hr:126:705560

N. Romić, "Opcije na tržištima kriptovaluta", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2018. Available at: https://urn.nsk.hr/urn:nbn:hr:126:705560

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Metadata
TitleOpcije na tržištima kriptovaluta
Title (english)Options on Cryptocurrency Market
AuthorNikolina Romić
MentorNenad Šuvak (mentor)
Committee memberMirta Benšić (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics)
(Probability and Mathematical Statistics Research Group)
Osijek
Defense date and country2018-11-23, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Probability Theory and Statistics
Abstract
Rad se bazira na primjeni teorije o opcijama i načina vrednovanja opcija na tržištu kriptovaluta. Predstavljena je potrebna teorijska podloga o vanilla opcijama te barijernim opcijama. U radu je analiziran portfelj koji je sastavljen od kriptovaluta i novca položenog u banku. Dalje su predstavljene pretpostavke koje trebaju biti zadovoljene kako bi se teorijski zaključci mogli primijeniti na promatrani portfelj. Nakon pokazivanja kako nema opravdane sumnje u zadovoljavanje pretpostavki, premije za opcije su se u primjerima računale koristeći Black - Sholes - Mertonovu formulu te analogon te formule za barijerne opcije. Prokomentirani su neki mogući slučajevi dodatne zarade i kontrole rizika te su sklopljena dva scenarij uz korištenje opcija na tržištu kriptovaluta; jedan primjenom samo vanilla opcija i drugi koji primjenjuje barijerne opcije.
Abstract (english)
This work is focused on application of option theory and evaluating options on cryptocurrency market. Necessary theoretical results about vanilla options and barrier options are presented. Further is analyzed portfolio which is compound of cryptocurrencies and money in the bank. There are few assumptions that need to be satisfied for application of theoretical results on analyzed portfolio. Those assumptions are all satisfied so price of the options can be measured using the Black - Sholes - Merton formula. Similar formula is presented and applied for barrier options also. Some ways and examples of risk control and making extra profit are suggested and two scenarios of using options on cryptocurrency market are presented. One of which uses only vanilla options and the other one which uses barrier options.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:705560
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
Created on2018-12-03 07:33:44